Concept

Credit default option

Related publications (14)

Microstrip patch antennas with broad beamwidth

Microstrip antennas offer a broad set of advantages such as low profile, light weight, easy fabrication and low cost. As these are desirable or even critical for a broad range of applications, there has been a large interest for these antennas in the anten ...

EPFL2023

Enhanced-performance integrated Resonant Switched-Capacitor and Buck DC-DC converters for application in extreme radiation and magnetic field environments

Giacomo Ripamonti

DC-DC converters based on Application Specific Integrated Circuits (ASICs) have been developed in this doctoral work for the High-Luminosity Large Hadron Collider (HL-LHC) experiments at CERN. They step down the voltage from a 2.5 V line and supply a load ...

EPFL2020

Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2019

The CDS-bond basis

Pierre Collin Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Fighting preterm birth with novel surgical tools and biomaterials engineering

Yannick Robert Devaud

With advances in fetal diagnosis and therapy, fetoscopy has become a good option to treat a series of life threatening diseases like twin-to-twin transfusion syndrome or severe congenital diaphragmatic hernia. The efficacy of fetoscopy for those types of d ...

EPFL2017

Dynamics of Electronic and Ionic Charges in Cyanine Organic Semiconductor Devices

Sandra Christina Jenatsch

Organic semiconductor materials have been widely applied in optoelectronic devices to replace their inorganic counterparts and explore new fields of applications. Due to their high extinction coefficients, chemical tunability and solubility, cyanine dyes a ...

EPFL2017

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

High sensitivity field asymmetric ion mobility spectrometer

Mario Andres Chavarria Varon

Field Asymmetric IonMobility Spectrometry (FAIMS) is a very promising technique for chemical detection. FAIMS systems are portable, highly sensitive, relatively inexpensive and can work at atmospheric conditions. These attributes make it a very desirable t ...

EPFL2016

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